A "missing" FO2 savegame directory is a Windows Vista issue. Save games and other items are placed in a hidden AppData folder, usually located at C:\Users\UserName\AppData\Local\VirtualStore\Program Files\BlackIsle\Fallout2. It's called the Virtual Store, and it's part of Vista's UAC. Any file writes to the Program Files directory by limited user applications are rerouted there, so if you installed Fallout anywhere apart from the Program Files folder you won't be affected. You also won't be affected if you set Fallout to run as administrator, or completely disable UAC (which is strongly advised if using many pre-Vista apps). It can actually cause a problem for people who don't know about it; if you start a game of Fallout, and then later on set Fallout to run as administrator, all your saves will vanish.
(Entry courtesy of Jabu and Timeslip thread posts.)